问题如下:
Using Model 2, assume a current short-term rate of 8%, an annual drift of 50bps, and a short-term rate standard deviation of 2%. In addition, assume the ex-post realization of the dw random variable is 0.3. After constructing a 2-period interest rate tree with annual periods, what is the interest rate in the middle node at the end of year 2?
选项:
A.8.0%.
B.8.8%.
C.9.0%.
D.9.6%.
解释:
Using Model 2 notation:
current short-term rate, r0 = 8% drift, λ = 0.5% standard deviation, σ = 2% random variable, dw = 0.3 change in time, dt =1
Since we are asked to find the interest rate at the second period middle node using Model 2, we know the tree will recombine to the following rate: r0 + 2 λ.dt.
8% + 2 x 0.5% x 1 = 9%
这里为什么dt不能是2,不是说两年吗,我看有类似的提问,但是无法解决我的疑问。
他不是说了construct a 2-period interest rate tree with annual periods吗,用年度的概念去构建一个2-period的利率二叉树,那不就是2个年度构建成一个2-period的二叉树吗,那dt不就是2了吗?